This zip file contains all the data and programs required to generate the figures and tables in this paper. 
The code and data used in this file are adapted from Baker, Bloom, and Davis (2016), with the original codes created by Nick Bloom.

Before beginning, please execute the 'Pre.do' file. This will install the basic Stata packages necessary to run the programs.
There are two main folders: 'Firm Panel' and 'US VAR.'

The 'Firm Panel' folder contains all the data and programs used to generate tables related to firm regression. It includes ten '.do' files (indexed from 1 to 5) that produce results presented in the following tables in the paper:
1 - Table 3, Tables 5 to 8, Table A3, and Tables A7 to A12
2 - Table A-1 (Falsification test)
3 - Table A-2 (select env firms as def firms)
4 - Table A-4 (Alternate measure of employment growth rate)
5 - Table A-5 (correlation) and Table A-6 (measurement error)

The 'US VAR' folder contains all the data and programs used to generate tables and figures related to VAR regression. It includes two '.do' files that produce results presented in the following tables and figures:

6 - VAR model: Table 2, Figure 3, and A3
7 - VAR model: Figure A4 (Financial Policy Uncertainty)
